RT Report
T1 Generalization of the Kalman Filter for a kind of rational expectations models
A1 Cerdá Tena, Emilio
AB In this papel we obtain a generalization of the Kalman Filter for a kind of models in which the value of the vector variable in period t is explained linearly by the value it had in the previous period, by the pational expectations about the value that the variable y would take in period t, that the economic agents had in previous periods and by additive Gaussian noise. Then we try to get rid of the Gaussian hypothesis and we find a kind of systems in which we don't need that hypothesis, although these systems will not be, in general, rational expectations models.
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 1988
FD 1988
LK https://hdl.handle.net/20.500.14352/63888
UL https://hdl.handle.net/20.500.14352/63888
LA eng
NO Aoki, M. and Canzoneri, M. (1979): "Reduced forms of Rational Expectations models". The Quarterly Journal of Economics. February. Bertsekas, D. (1976): "Dynamic Programming and Stochastic Control". Academic Press. Broze, Szafarz (1984): "On linear models with rational expectations which admit a unique solution". European Economic Review 24, pag. 103-111. Schonfeld, P. (1984): "Dynamic linear models with rational expectations of current endogenous variables", in Operations Research and Economic theory. Edited by H. Hauptmann, W. Krelle and K.C. Mosler. Springer-Verlag. Visco, I. (1981): "On the derivation of reduced forms of rational expectations models". European Economic Review 16. Pag. 355-365. Visco, I. (1984): "On linear models with rational expectations. An addendum". European Economic Review 24, Pag. 113-115.
DS Docta Complutense
RD 6 oct 2024